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| Tekijä: | Rinne, E. Vähämaa, S. |
| Otsikko: | The 'Dogs of the Dow' strategy revisited: Finnish evidence |
| Lehti: | European Journal of Finance
2011 : MAY-JUL, VOL 17:5-6 p. 451-469 |
| Asiasana: | strategy investments portfolio management profit stock markets Nordic countries Finland |
| Kieli: | eng |
| Tiivistelmä: | This research paper examines the performance of the 'Dogs of the Dow' (DoD) investment strategy in a different market setting and over a different time period. Especially Finnish historical data is used in this research. The empirical findings of of the paper suggest that the DoD investment strategy is profitable in the Finnish stock market and outperforms the market index with an average (median) annual abnormal return of 4,5 percent (7,5 percent). Furthermore, the results indicate that the DoD strategy outperforms the market index even after most risk adjustment and thereby suggest that the outperformance of the strategy is not merely a compensation for higher risk. Nevertheless, it is also documented that the superior returns of the DoD strategy may be largely attributed to the winner-loser effect. |
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